Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility

By Marianne Akian, Agnès Sulem, Michael I. Taksar. 2001

103 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/be01aace57e2b2febd9368c2e1aa305dba70157b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Stephane Gaubert
2. Marianne Akian

In Finance

1. Stephane Gaubert
2. Marianne Akian

In Management Science and Operations Research

1. Marianne Akian
2. Stephane Gaubert

Citations in the corpus

• Spectral theorem for convex monotone homogeneous maps, and ergodic control (2001, result): “In [Ben88], Bensoussan proved uniqueness of the eigenvector (as weak solution of the ergodic HJB equation) under assumptions, which translated in finite dimension imply irreducibility of stochastic matrices . Inspired by the results of the present paper, the first author, Sulem and Taksar [ AST01 ] ”
• Portfolio Selection : A Survey (2014, unknown): “However, we will not introduce strategies [Davis and Norman 1990; Iyengar and Cover 2000; Akian et al. 2001; Schäfer 2002; Györfi and Vajda 2008; Ormos and Urbán 2011] that directly solve the transaction costs issues.”